BCJR Algorithm. Veterbi Algorithm (revisted) Consider covolutional encoder with. And information sequences of length h = 5

Size: px
Start display at page:

Download "BCJR Algorithm. Veterbi Algorithm (revisted) Consider covolutional encoder with. And information sequences of length h = 5"

Transcription

1 Chapter 2 BCJR Algorithm Ammar Abh-Hhdrohss Islamic University -Gaza ١ Veterbi Algorithm (revisted) Consider covolutional encoder with And information sequences of length h = 5 The trellis diagram has h + m + 1 timeslots which equals 8 in our case Consider received sequence as Slide ٢ ١

2 Slide ٣ From Fig on the text book, we can see that Slide ٤ ٢

3 SOVA The Soft-Output Viterbi Algorithm (SOVA) was first introduced in We describe SOVA for convolutional code with R = 1/n on binary input, AWGN channel. We assume that priori probabilities are not equally likely p(u L ) and L = 0,., h-1. Slide ٥ Log-likelihood metric Let us define the log-likelihood ratio or the L-value of a received symbol r at the output of channel with binary inputs v = 1 Similarly the L-value of an information bit u is defined as Using Bay s rule if v is equally likely Slide ٦ ٣

4 Log-likelihood metric A large positive value of L(r) indicates a high reliability that v = +1. A large negative value of L(r) indicates a high reliability that v = -1. A close to zero value of L(r) indicates a decision a bout the value of v based only on r is unreliable. The same a large positive value of L(u) indicates a high reliability that u = +1 Slide ٧ Log-likelihood metric It can be shown that the L value is equal to (left as exercise for the students) Where is defined as channel reliability factor Slide ٨ ٤

5 BCJR algorithm P w P vˆ v r Veterbi Algorithm minimizes the WER E that is So it is minimizes the error probability between the transmitted and received codeword. In BCJR algorithm, we are interested in minimizing the bit error probability. This is done by maximizing the posteriori probability That is why BCJR decoder is also called Maximum Posteriori Probability decoder (MAP) Slide ٩ BCJR algorithm We don t assume that the information bits are equally likely. The algorithms calculates the a posteriori L-values Called APP L-values of each information bit, the decoder output is given by Slide ١٠ ٥

6 We start our development of the BCJR algorithm by rewriting the APP value as Where U L+ is the set of all information sequences u such as u l = 1, v is the transmitted codeword corresponding to the information sequence u. So we can rewrite the expression o f the APP L values as Where U L- is the set of all information sequences u such as u l = - 1 Slide ١١ The L values can be calculated using the previous formula but still it suffers from high degree of complexity. We can rewrite the a posteriori probability as Where l+ is the set of all state pairs s l = s and s l+1 = s that corresponds to the input bit u l = + 1. Reforming P(u l = -1/r) in the same way and sub in the L value Slide ١٢ ٦

7 Where l- is the set of all state pairs s l = s and s l +1 = s that corresponds to the input bit u l = - 1. The joint pdf p(s,s,r) can be found recursively, starting from Where r t <l represents the portion of the received r before the time l and Where r t > l represents the portion of the received r after the time l. Now application of Bay s rule Slide ١٣ Defining So the joint pdf can be rewritten as We can write expression for α l+1 (s) as Where σ l is the set of all states at time l. Slide ١٤ ٧

8 l (s ) can be written as Where σ l+1 is the set of all states at time l+1. The forward recursion starts from And the backward recursion starts from Slide ١٥ We can write the branch metric as Which yields We can drop the constant to achieve Slide ١٦ ٨

9 The priori probability can be written as Slide ١٧ The L value depend of the value of u, thus Again if we drop the constants Slide ١٨ ٩

10 Using the log-domain enable using And the log-domain metrics are Slide ١٩ Writing the expression for the pdf p(s, s, r) and the APP L- value L(u l ) as: Slide ٢٠ ١٠

11 Using the following math expression We can formula the L value as Slide ٢١ Steps of Log-Domain BCJR algorithm Step1: calculate the forward and backward metrics using Step 2 Compute the branch metric using Slide ٢٢ ١١

12 Steps of Log-Domain BCJR algorithm Step3: calculate the forward metrics using Step 4 Compute the backward metric using Step 5 compute the APP-L values using Slide ٢٣ Steps of Log-Domain BCJR algorithm Step6: (Optional) compute the hard decisions using Slide ٢٤ ١٢

13 Example We will consider the BCJR decoding of a (2, 1, 1) systematic Recursive Convolutional code on AWGN with generator matrix Slide ٢٥ Let u = (u0, u1, u2, u3) denote the input vector of length 4 and v = (v0, v1, v2, v3) denotes the codeword of length 8. We assume Es/ N0 = ¼(-6.02) db The received vector r = (+0.8, +0.1; +1.0, -0.5; -1.8, +1.1; 1.6, -1.6) Slide ٢٦ ١٣

14 The rate of the terminated code is R = h/n =3/8. Eb/ N0 = Es/RN0 = 2/3 Assuming that the information bits are equaly likely La(ul) = 0 Lc = 4 Eb/N0 = 1 Slide ٢٧ Slide ٢٨ ١٤

15 Slide ٢٩ Now compute the log-domain forward metrics Slide ٣٠ ١٥

16 Similarly compute the log-domain backward metrics Slide ٣١ Finally we compute the app L -values Slide ٣٢ ١٦

17 Slide ٣٣ Example Slide ٣٤ ١٧

18 Finding the L-values Slide ٣٥ Then he hard decision outputs of the Max-log-MAP decoder is u = (-1, +1, -1) Slide ٣٦ ١٨

Lattice Coding and its Applications in Communications

Lattice Coding and its Applications in Communications Lattice Coding and its Applications in Communications Alister Burr University of York alister.burr@york.ac.uk Introduction to lattices Definition; Sphere packings; Basis vectors; Matrix description Codes

More information

Introduction to Greedy Algorithms: Huffman Codes

Introduction to Greedy Algorithms: Huffman Codes Introduction to Greedy Algorithms: Huffman Codes Yufei Tao ITEE University of Queensland In computer science, one interesting method to design algorithms is to go greedy, namely, keep doing the thing that

More information

It is used when neither the TX nor RX knows anything about the statistics of the source sequence at the start of the transmission

It is used when neither the TX nor RX knows anything about the statistics of the source sequence at the start of the transmission It is used when neither the TX nor RX knows anything about the statistics of the source sequence at the start of the transmission -The code can be described in terms of a binary tree -0 corresponds to

More information

Handout 4: Deterministic Systems and the Shortest Path Problem

Handout 4: Deterministic Systems and the Shortest Path Problem SEEM 3470: Dynamic Optimization and Applications 2013 14 Second Term Handout 4: Deterministic Systems and the Shortest Path Problem Instructor: Shiqian Ma January 27, 2014 Suggested Reading: Bertsekas

More information

Computer Vision Group Prof. Daniel Cremers. 7. Sequential Data

Computer Vision Group Prof. Daniel Cremers. 7. Sequential Data Group Prof. Daniel Cremers 7. Sequential Data Bayes Filter (Rep.) We can describe the overall process using a Dynamic Bayes Network: This incorporates the following Markov assumptions: (measurement) (state)!2

More information

Notes on the EM Algorithm Michael Collins, September 24th 2005

Notes on the EM Algorithm Michael Collins, September 24th 2005 Notes on the EM Algorithm Michael Collins, September 24th 2005 1 Hidden Markov Models A hidden Markov model (N, Σ, Θ) consists of the following elements: N is a positive integer specifying the number of

More information

The EM algorithm for HMMs

The EM algorithm for HMMs The EM algorithm for HMMs Michael Collins February 22, 2012 Maximum-Likelihood Estimation for Fully Observed Data (Recap from earlier) We have fully observed data, x i,1... x i,m, s i,1... s i,m for i

More information

Rewriting Codes for Flash Memories Based Upon Lattices, and an Example Using the E8 Lattice

Rewriting Codes for Flash Memories Based Upon Lattices, and an Example Using the E8 Lattice Rewriting Codes for Flash Memories Based Upon Lattices, and an Example Using the E Lattice Brian M. Kurkoski kurkoski@ice.uec.ac.jp University of Electro-Communications Tokyo, Japan Workshop on Application

More information

Lecture l(x) 1. (1) x X

Lecture l(x) 1. (1) x X Lecture 14 Agenda for the lecture Kraft s inequality Shannon codes The relation H(X) L u (X) = L p (X) H(X) + 1 14.1 Kraft s inequality While the definition of prefix-free codes is intuitively clear, we

More information

CS 361: Probability & Statistics

CS 361: Probability & Statistics March 12, 2018 CS 361: Probability & Statistics Inference Binomial likelihood: Example Suppose we have a coin with an unknown probability of heads. We flip the coin 10 times and observe 2 heads. What can

More information

Fast Simplified Successive-Cancellation List Decoding of Polar Codes

Fast Simplified Successive-Cancellation List Decoding of Polar Codes Fast Simplified Successive-Cancellation List Decoding of Polar Codes Seyyed Ali Hashemi, Carlo Condo, Warren J. Gross Department of Electrical and Computer Engineering, McGill University, Montréal, Québec,

More information

Final exam solutions

Final exam solutions EE365 Stochastic Control / MS&E251 Stochastic Decision Models Profs. S. Lall, S. Boyd June 5 6 or June 6 7, 2013 Final exam solutions This is a 24 hour take-home final. Please turn it in to one of the

More information

Pakes (1986): Patents as Options: Some Estimates of the Value of Holding European Patent Stocks

Pakes (1986): Patents as Options: Some Estimates of the Value of Holding European Patent Stocks Pakes (1986): Patents as Options: Some Estimates of the Value of Holding European Patent Stocks Spring 2009 Main question: How much are patents worth? Answering this question is important, because it helps

More information

Information Theory and Coding Prof. S. N. Merchant Department of Electrical Engineering Indian Institute of Technology, Bombay

Information Theory and Coding Prof. S. N. Merchant Department of Electrical Engineering Indian Institute of Technology, Bombay Information Theory and Coding Prof. S. N. Merchant Department of Electrical Engineering Indian Institute of Technology, Bombay Lecture - 15 Adaptive Huffman Coding Part I Huffman code are optimal for a

More information

a 13 Notes on Hidden Markov Models Michael I. Jordan University of California at Berkeley Hidden Markov Models The model

a 13 Notes on Hidden Markov Models Michael I. Jordan University of California at Berkeley Hidden Markov Models The model Notes on Hidden Markov Models Michael I. Jordan University of California at Berkeley Hidden Markov Models This is a lightly edited version of a chapter in a book being written by Jordan. Since this is

More information

Risk-neutral Binomial Option Valuation

Risk-neutral Binomial Option Valuation Risk-neutral Binomial Option Valuation Main idea is that the option price now equals the expected value of the option price in the future, discounted back to the present at the risk free rate. Assumes

More information

BSc (Hons) Software Engineering BSc (Hons) Computer Science with Network Security

BSc (Hons) Software Engineering BSc (Hons) Computer Science with Network Security BSc (Hons) Software Engineering BSc (Hons) Computer Science with Network Security Cohorts BCNS/ 06 / Full Time & BSE/ 06 / Full Time Resit Examinations for 2008-2009 / Semester 1 Examinations for 2008-2009

More information

CSE 21 Winter 2016 Homework 6 Due: Wednesday, May 11, 2016 at 11:59pm. Instructions

CSE 21 Winter 2016 Homework 6 Due: Wednesday, May 11, 2016 at 11:59pm. Instructions CSE 1 Winter 016 Homework 6 Due: Wednesday, May 11, 016 at 11:59pm Instructions Homework should be done in groups of one to three people. You are free to change group members at any time throughout the

More information

Lecture Stat 302 Introduction to Probability - Slides 15

Lecture Stat 302 Introduction to Probability - Slides 15 Lecture Stat 30 Introduction to Probability - Slides 15 AD March 010 AD () March 010 1 / 18 Continuous Random Variable Let X a (real-valued) continuous r.v.. It is characterized by its pdf f : R! [0, )

More information

FINANCIAL OPTION ANALYSIS HANDOUTS

FINANCIAL OPTION ANALYSIS HANDOUTS FINANCIAL OPTION ANALYSIS HANDOUTS 1 2 FAIR PRICING There is a market for an object called S. The prevailing price today is S 0 = 100. At this price the object S can be bought or sold by anyone for any

More information

Math 1090 Final Exam Fall 2012

Math 1090 Final Exam Fall 2012 Math 1090 Final Exam Fall 2012 Name Instructor: Student ID Number: Instructions: Show all work, as partial credit will be given where appropriate. If no work is shown, there may be no credit given. All

More information

Time value of money-concepts and Calculations Prof. Bikash Mohanty Department of Chemical Engineering Indian Institute of Technology, Roorkee

Time value of money-concepts and Calculations Prof. Bikash Mohanty Department of Chemical Engineering Indian Institute of Technology, Roorkee Time value of money-concepts and Calculations Prof. Bikash Mohanty Department of Chemical Engineering Indian Institute of Technology, Roorkee Lecture - 13 Multiple Cash Flow-1 and 2 Welcome to the lecture

More information

Definition 4.1. In a stochastic process T is called a stopping time if you can tell when it happens.

Definition 4.1. In a stochastic process T is called a stopping time if you can tell when it happens. 102 OPTIMAL STOPPING TIME 4. Optimal Stopping Time 4.1. Definitions. On the first day I explained the basic problem using one example in the book. On the second day I explained how the solution to the

More information

Chapter 5 Finite Difference Methods. Math6911 W07, HM Zhu

Chapter 5 Finite Difference Methods. Math6911 W07, HM Zhu Chapter 5 Finite Difference Methods Math69 W07, HM Zhu References. Chapters 5 and 9, Brandimarte. Section 7.8, Hull 3. Chapter 7, Numerical analysis, Burden and Faires Outline Finite difference (FD) approximation

More information

1102 IEEE TRANSACTIONS ON INFORMATION THEORY, VOL. 51, NO. 3, MARCH Genyuan Wang and Xiang-Gen Xia, Senior Member, IEEE

1102 IEEE TRANSACTIONS ON INFORMATION THEORY, VOL. 51, NO. 3, MARCH Genyuan Wang and Xiang-Gen Xia, Senior Member, IEEE 1102 IEEE TRANSACTIONS ON INFORMATION THEORY, VOL 51, NO 3, MARCH 2005 On Optimal Multilayer Cyclotomic Space Time Code Designs Genyuan Wang Xiang-Gen Xia, Senior Member, IEEE Abstract High rate large

More information

Homework #4. CMSC351 - Spring 2013 PRINT Name : Due: Thu Apr 16 th at the start of class

Homework #4. CMSC351 - Spring 2013 PRINT Name : Due: Thu Apr 16 th at the start of class Homework #4 CMSC351 - Spring 2013 PRINT Name : Due: Thu Apr 16 th at the start of class o Grades depend on neatness and clarity. o Write your answers with enough detail about your approach and concepts

More information

Hidden Markov Models. Slides by Carl Kingsford. Based on Chapter 11 of Jones & Pevzner, An Introduction to Bioinformatics Algorithms

Hidden Markov Models. Slides by Carl Kingsford. Based on Chapter 11 of Jones & Pevzner, An Introduction to Bioinformatics Algorithms Hidden Markov Models Slides by Carl Kingsford Based on Chapter 11 of Jones & Pevzner, An Introduction to Bioinformatics Algorithms Eukaryotic Genes & Exon Splicing Prokaryotic (bacterial) genes look like

More information

MBF1413 Quantitative Methods

MBF1413 Quantitative Methods MBF1413 Quantitative Methods Prepared by Dr Khairul Anuar 4: Decision Analysis Part 1 www.notes638.wordpress.com 1. Problem Formulation a. Influence Diagrams b. Payoffs c. Decision Trees Content 2. Decision

More information

Hill Climbing on Speech Lattices: A New Rescoring Framework

Hill Climbing on Speech Lattices: A New Rescoring Framework Hill Climbing on Speech Lattices: A New Rescoring Framework Ariya Rastrow, Markus Dreyer, Abhinav Sethy, Sanjeev Khudanpur, Bhuvana Ramabhadran and Mark Dredze Motivation Availability of large amounts

More information

CS4311 Design and Analysis of Algorithms. Lecture 14: Amortized Analysis I

CS4311 Design and Analysis of Algorithms. Lecture 14: Amortized Analysis I CS43 Design and Analysis of Algorithms Lecture 4: Amortized Analysis I About this lecture Given a data structure, amortized analysis studies in a sequence of operations, the average time to perform an

More information

Lecture 17: More on Markov Decision Processes. Reinforcement learning

Lecture 17: More on Markov Decision Processes. Reinforcement learning Lecture 17: More on Markov Decision Processes. Reinforcement learning Learning a model: maximum likelihood Learning a value function directly Monte Carlo Temporal-difference (TD) learning COMP-424, Lecture

More information

Elements of Economic Analysis II Lecture II: Production Function and Profit Maximization

Elements of Economic Analysis II Lecture II: Production Function and Profit Maximization Elements of Economic Analysis II Lecture II: Production Function and Profit Maximization Kai Hao Yang 09/26/2017 1 Production Function Just as consumer theory uses utility function a function that assign

More information

Linear Dispersion Over Time and Frequency

Linear Dispersion Over Time and Frequency Linear Dispersion Over Time and Frequency Jinsong Wu and Steven D Blostein Department of Electrical and Computer Engineering Queen s University, Kingston, Ontario, Canada, K7L3N6 Email: {jwu, sdb@eequeensuca

More information

Finite-length analysis of the TEP decoder for LDPC ensembles over the BEC

Finite-length analysis of the TEP decoder for LDPC ensembles over the BEC Finite-length analysis of the TEP decoder for LDPC ensembles over the BEC Pablo M. Olmos, Fernando Pérez-Cruz Departamento de Teoría de la Señal y Comunicaciones. Universidad Carlos III in Madrid. email:

More information

IEOR E4004: Introduction to OR: Deterministic Models

IEOR E4004: Introduction to OR: Deterministic Models IEOR E4004: Introduction to OR: Deterministic Models 1 Dynamic Programming Following is a summary of the problems we discussed in class. (We do not include the discussion on the container problem or the

More information

MAC Learning Objectives. Learning Objectives (Cont.)

MAC Learning Objectives. Learning Objectives (Cont.) MAC 1140 Module 12 Introduction to Sequences, Counting, The Binomial Theorem, and Mathematical Induction Learning Objectives Upon completing this module, you should be able to 1. represent sequences. 2.

More information

Decision Trees An Early Classifier

Decision Trees An Early Classifier An Early Classifier Jason Corso SUNY at Buffalo January 19, 2012 J. Corso (SUNY at Buffalo) Trees January 19, 2012 1 / 33 Introduction to Non-Metric Methods Introduction to Non-Metric Methods We cover

More information

Agricultural and Applied Economics 637 Applied Econometrics II

Agricultural and Applied Economics 637 Applied Econometrics II Agricultural and Applied Economics 637 Applied Econometrics II Assignment I Using Search Algorithms to Determine Optimal Parameter Values in Nonlinear Regression Models (Due: February 3, 2015) (Note: Make

More information

Course information FN3142 Quantitative finance

Course information FN3142 Quantitative finance Course information 015 16 FN314 Quantitative finance This course is aimed at students interested in obtaining a thorough grounding in market finance and related empirical methods. Prerequisite If taken

More information

Introduction to Dynamic Programming

Introduction to Dynamic Programming Introduction to Dynamic Programming http://bicmr.pku.edu.cn/~wenzw/bigdata2018.html Acknowledgement: this slides is based on Prof. Mengdi Wang s and Prof. Dimitri Bertsekas lecture notes Outline 2/65 1

More information

Maximum Contiguous Subsequences

Maximum Contiguous Subsequences Chapter 8 Maximum Contiguous Subsequences In this chapter, we consider a well-know problem and apply the algorithm-design techniques that we have learned thus far to this problem. While applying these

More information

The Binomial Lattice Model for Stocks: Introduction to Option Pricing

The Binomial Lattice Model for Stocks: Introduction to Option Pricing 1/33 The Binomial Lattice Model for Stocks: Introduction to Option Pricing Professor Karl Sigman Columbia University Dept. IEOR New York City USA 2/33 Outline The Binomial Lattice Model (BLM) as a Model

More information

Arithmetic Sequences (Sequence Part 2) Supplemental Material Not Found in You Text

Arithmetic Sequences (Sequence Part 2) Supplemental Material Not Found in You Text Math 34: Fall 015 Arithmetic Sequences (Sequence Part ) Supplemental Material Not Found in You Text Arithmetic Sequences Recall an Arithmetic Sequence is a sequence where the difference between any two

More information

NOISE VARIANCE ESTIMATION IN DS-CDMA AND ITS EFFECTS ON THE INDIVIDUALLY OPTIMUM RECEIVER

NOISE VARIANCE ESTIMATION IN DS-CDMA AND ITS EFFECTS ON THE INDIVIDUALLY OPTIMUM RECEIVER NOISE VRINCE ESTIMTION IN DS-CDM ND ITS EFFECTS ON THE INDIVIDULLY OPTIMUM RECEIVER R. Gaudel, F. Bonnet, J.B. Domelevo-Entfellner ENS Cachan Campus de Ker Lann 357 Bruz, France. Roumy IRIS-INRI Campus

More information

Binary Decision Diagrams

Binary Decision Diagrams Binary Decision Diagrams Hao Zheng Department of Computer Science and Engineering University of South Florida Tampa, FL 33620 Email: zheng@cse.usf.edu Phone: (813)974-4757 Fax: (813)974-5456 Hao Zheng

More information

MATH 361: Financial Mathematics for Actuaries I

MATH 361: Financial Mathematics for Actuaries I MATH 361: Financial Mathematics for Actuaries I Albert Cohen Actuarial Sciences Program Department of Mathematics Department of Statistics and Probability C336 Wells Hall Michigan State University East

More information

CSCI 1951-G Optimization Methods in Finance Part 00: Course Logistics Introduction to Finance Optimization Problems

CSCI 1951-G Optimization Methods in Finance Part 00: Course Logistics Introduction to Finance Optimization Problems CSCI 1951-G Optimization Methods in Finance Part 00: Course Logistics Introduction to Finance Optimization Problems January 26, 2018 1 / 24 Basic information All information is available in the syllabus

More information

From Discrete Time to Continuous Time Modeling

From Discrete Time to Continuous Time Modeling From Discrete Time to Continuous Time Modeling Prof. S. Jaimungal, Department of Statistics, University of Toronto 2004 Arrow-Debreu Securities 2004 Prof. S. Jaimungal 2 Consider a simple one-period economy

More information

Chapter 8. Markowitz Portfolio Theory. 8.1 Expected Returns and Covariance

Chapter 8. Markowitz Portfolio Theory. 8.1 Expected Returns and Covariance Chapter 8 Markowitz Portfolio Theory 8.1 Expected Returns and Covariance The main question in portfolio theory is the following: Given an initial capital V (0), and opportunities (buy or sell) in N securities

More information

Hidden Markov Model for High Frequency Data

Hidden Markov Model for High Frequency Data Hidden Markov Model for High Frequency Data Department of Mathematics, Florida State University Joint Math Meeting, Baltimore, MD, January 15 What are HMMs? A Hidden Markov model (HMM) is a stochastic

More information

Yao s Minimax Principle

Yao s Minimax Principle Complexity of algorithms The complexity of an algorithm is usually measured with respect to the size of the input, where size may for example refer to the length of a binary word describing the input,

More information

Binary Decision Diagrams

Binary Decision Diagrams Binary Decision Diagrams Hao Zheng Department of Computer Science and Engineering University of South Florida Tampa, FL 33620 Email: zheng@cse.usf.edu Phone: (813)974-4757 Fax: (813)974-5456 Hao Zheng

More information

sample-bookchapter 2015/7/7 9:44 page 1 #1 THE BINOMIAL MODEL

sample-bookchapter 2015/7/7 9:44 page 1 #1 THE BINOMIAL MODEL sample-bookchapter 2015/7/7 9:44 page 1 #1 1 THE BINOMIAL MODEL In this chapter we will study, in some detail, the simplest possible nontrivial model of a financial market the binomial model. This is a

More information

First-Order Logic in Standard Notation Basics

First-Order Logic in Standard Notation Basics 1 VOCABULARY First-Order Logic in Standard Notation Basics http://mathvault.ca April 21, 2017 1 Vocabulary Just as a natural language is formed with letters as its building blocks, the First- Order Logic

More information

IEOR 3106: Introduction to Operations Research: Stochastic Models SOLUTIONS to Final Exam, Sunday, December 16, 2012

IEOR 3106: Introduction to Operations Research: Stochastic Models SOLUTIONS to Final Exam, Sunday, December 16, 2012 IEOR 306: Introduction to Operations Research: Stochastic Models SOLUTIONS to Final Exam, Sunday, December 6, 202 Four problems, each with multiple parts. Maximum score 00 (+3 bonus) = 3. You need to show

More information

Chapter 2 Uncertainty Analysis and Sampling Techniques

Chapter 2 Uncertainty Analysis and Sampling Techniques Chapter 2 Uncertainty Analysis and Sampling Techniques The probabilistic or stochastic modeling (Fig. 2.) iterative loop in the stochastic optimization procedure (Fig..4 in Chap. ) involves:. Specifying

More information

The Normal Distribution

The Normal Distribution Will Monroe CS 09 The Normal Distribution Lecture Notes # July 9, 207 Based on a chapter by Chris Piech The single most important random variable type is the normal a.k.a. Gaussian) random variable, parametrized

More information

Standard Deviation. 1 Motivation 1

Standard Deviation. 1 Motivation 1 Standard Deviation Table of Contents 1 Motivation 1 2 Standard Deviation 2 3 Computing Standard Deviation 4 4 Calculator Instructions 7 5 Homework Problems 8 5.1 Instructions......................................

More information

Assessing Model Stability Using Recursive Estimation and Recursive Residuals

Assessing Model Stability Using Recursive Estimation and Recursive Residuals Assessing Model Stability Using Recursive Estimation and Recursive Residuals Our forecasting procedure cannot be expected to produce good forecasts if the forecasting model that we constructed was stable

More information

Dynamic Programming (DP) Massimo Paolucci University of Genova

Dynamic Programming (DP) Massimo Paolucci University of Genova Dynamic Programming (DP) Massimo Paolucci University of Genova DP cannot be applied to each kind of problem In particular, it is a solution method for problems defined over stages For each stage a subproblem

More information

Risk Measurement in Credit Portfolio Models

Risk Measurement in Credit Portfolio Models 9 th DGVFM Scientific Day 30 April 2010 1 Risk Measurement in Credit Portfolio Models 9 th DGVFM Scientific Day 30 April 2010 9 th DGVFM Scientific Day 30 April 2010 2 Quantitative Risk Management Profit

More information

The University of Chicago, Booth School of Business Business 41202, Spring Quarter 2012, Mr. Ruey S. Tsay. Solutions to Final Exam

The University of Chicago, Booth School of Business Business 41202, Spring Quarter 2012, Mr. Ruey S. Tsay. Solutions to Final Exam The University of Chicago, Booth School of Business Business 41202, Spring Quarter 2012, Mr. Ruey S. Tsay Solutions to Final Exam Problem A: (40 points) Answer briefly the following questions. 1. Consider

More information

Chapter 7: Portfolio Theory

Chapter 7: Portfolio Theory Chapter 7: Portfolio Theory 1. Introduction 2. Portfolio Basics 3. The Feasible Set 4. Portfolio Selection Rules 5. The Efficient Frontier 6. Indifference Curves 7. The Two-Asset Portfolio 8. Unrestriceted

More information

VARN CODES AND GENERALIZED FIBONACCI TREES

VARN CODES AND GENERALIZED FIBONACCI TREES Julia Abrahams Mathematical Sciences Division, Office of Naval Research, Arlington, VA 22217-5660 (Submitted June 1993) INTRODUCTION AND BACKGROUND Yarn's [6] algorithm solves the problem of finding an

More information

6. Continous Distributions

6. Continous Distributions 6. Continous Distributions Chris Piech and Mehran Sahami May 17 So far, all random variables we have seen have been discrete. In all the cases we have seen in CS19 this meant that our RVs could only take

More information

Dynamic Programming: An overview. 1 Preliminaries: The basic principle underlying dynamic programming

Dynamic Programming: An overview. 1 Preliminaries: The basic principle underlying dynamic programming Dynamic Programming: An overview These notes summarize some key properties of the Dynamic Programming principle to optimize a function or cost that depends on an interval or stages. This plays a key role

More information

Financial Risk Management

Financial Risk Management Financial Risk Management Professor: Thierry Roncalli Evry University Assistant: Enareta Kurtbegu Evry University Tutorial exercices #4 1 Correlation and copulas 1. The bivariate Gaussian copula is given

More information

Hidden Markov Models. Selecting model parameters or training

Hidden Markov Models. Selecting model parameters or training idden Markov Models Selecting model parameters or training idden Markov Models Motivation: The n'th observation in a chain of observations is influenced by a corresponding latent variable... Observations

More information

Econ Homework 4 - Answers ECONOMIC APPLICATIONS OF CONSTRAINED OPTIMIZATION. 1. Assume that a rm produces product x using k and l, where

Econ Homework 4 - Answers ECONOMIC APPLICATIONS OF CONSTRAINED OPTIMIZATION. 1. Assume that a rm produces product x using k and l, where Econ 4808 - Homework 4 - Answers ECONOMIC APPLICATIONS OF CONSTRAINED OPTIMIZATION Graded questions: : A points; B - point; C - point : B points : B points. Assume that a rm produces product x using k

More information

A potentially useful approach to model nonlinearities in time series is to assume different behavior (structural break) in different subsamples

A potentially useful approach to model nonlinearities in time series is to assume different behavior (structural break) in different subsamples 1.3 Regime switching models A potentially useful approach to model nonlinearities in time series is to assume different behavior (structural break) in different subsamples (or regimes). If the dates, the

More information

Markov Decision Processes

Markov Decision Processes Markov Decision Processes Robert Platt Northeastern University Some images and slides are used from: 1. CS188 UC Berkeley 2. AIMA 3. Chris Amato Stochastic domains So far, we have studied search Can use

More information

Name: CS3130: Probability and Statistics for Engineers Practice Final Exam Instructions: You may use any notes that you like, but no calculators or computers are allowed. Be sure to show all of your work.

More information

GTTI 2009: sessione Trasmissione Spectrally efficient LDPC coded modulations

GTTI 2009: sessione Trasmissione Spectrally efficient LDPC coded modulations GTTI 2009: sessione Trasmissione Spectrally efficient LDPC coded modulations Andrea Marinoni Università degli Studi di Pavia Dipartimento di Elettronica Via Ferrata 1, 27100, Pavia, Italy Email: andrea.marinoni@unipv.it

More information

Dynamic Portfolio Choice II

Dynamic Portfolio Choice II Dynamic Portfolio Choice II Dynamic Programming Leonid Kogan MIT, Sloan 15.450, Fall 2010 c Leonid Kogan ( MIT, Sloan ) Dynamic Portfolio Choice II 15.450, Fall 2010 1 / 35 Outline 1 Introduction to Dynamic

More information

3: Balance Equations 3.1 Accounts with Constant Interest Rates. Terms. Example. Simple Interest

3: Balance Equations 3.1 Accounts with Constant Interest Rates. Terms. Example. Simple Interest 3: Balance Equations 3.1 Accounts with Constant Interest Rates Example Two different accounts 1% per year: earn 1% each year on dollars at beginning of year 1% per month: earn 1% each month on dollars

More information

Sequences, Series, and Limits; the Economics of Finance

Sequences, Series, and Limits; the Economics of Finance CHAPTER 3 Sequences, Series, and Limits; the Economics of Finance If you have done A-level maths you will have studied Sequences and Series in particular Arithmetic and Geometric ones) before; if not you

More information

CMPSCI 311: Introduction to Algorithms Second Midterm Practice Exam SOLUTIONS

CMPSCI 311: Introduction to Algorithms Second Midterm Practice Exam SOLUTIONS CMPSCI 311: Introduction to Algorithms Second Midterm Practice Exam SOLUTIONS November 17, 2016. Name: ID: Instructions: Answer the questions directly on the exam pages. Show all your work for each question.

More information

risks Hidden Markov Model for Stock Selection Risks 2015, 3, ; doi: /risks ISSN Article

risks Hidden Markov Model for Stock Selection Risks 2015, 3, ; doi: /risks ISSN Article Risks 15, 3, 5-473; doi:10.3390/risks305 Article OPEN ACCESS risks ISSN 2227-9091 www.mdpi.com/journal/risks Hidden Markov Model for Stock Selection Nguyet Nguyen 1, * and Dung Nguyen 2 1 Faculty of Mathematics

More information

Non-Data-Aided Parameter Estimation in an Additive White Gaussian Noise Channel

Non-Data-Aided Parameter Estimation in an Additive White Gaussian Noise Channel on-data-aided Parameter Estimation in an Additive White Gaussian oise Channel Fredrik Brännström Department of Signals and Systems Chalmers University of Technology SE-4 96 Göteborg, Sweden Email: fredrikb@s.chalmers.se

More information

Stochastic Calculus for Finance

Stochastic Calculus for Finance Stochastic Calculus for Finance Albert Cohen Actuarial Sciences Program Department of Mathematics Department of Statistics and Probability A336 Wells Hall Michigan State University East Lansing MI 48823

More information

The University of Chicago, Booth School of Business Business 41202, Spring Quarter 2010, Mr. Ruey S. Tsay Solutions to Final Exam

The University of Chicago, Booth School of Business Business 41202, Spring Quarter 2010, Mr. Ruey S. Tsay Solutions to Final Exam The University of Chicago, Booth School of Business Business 410, Spring Quarter 010, Mr. Ruey S. Tsay Solutions to Final Exam Problem A: (4 pts) Answer briefly the following questions. 1. Questions 1

More information

MS-E2114 Investment Science Lecture 10: Options pricing in binomial lattices

MS-E2114 Investment Science Lecture 10: Options pricing in binomial lattices MS-E2114 Investment Science Lecture 10: Options pricing in binomial lattices A. Salo, T. Seeve Systems Analysis Laboratory Department of System Analysis and Mathematics Aalto University, School of Science

More information

Node betweenness centrality: the definition.

Node betweenness centrality: the definition. Brandes algorithm These notes supplement the notes and slides for Task 11. They do not add any new material, but may be helpful in understanding the Brandes algorithm for calculating node betweenness centrality.

More information

Lossy compression of permutations

Lossy compression of permutations Lossy compression of permutations The MIT Faculty has made this article openly available. Please share how this access benefits you. Your story matters. Citation As Published Publisher Wang, Da, Arya Mazumdar,

More information

Two hours. To be supplied by the Examinations Office: Mathematical Formula Tables and Statistical Tables THE UNIVERSITY OF MANCHESTER

Two hours. To be supplied by the Examinations Office: Mathematical Formula Tables and Statistical Tables THE UNIVERSITY OF MANCHESTER Two hours MATH20802 To be supplied by the Examinations Office: Mathematical Formula Tables and Statistical Tables THE UNIVERSITY OF MANCHESTER STATISTICAL METHODS Answer any FOUR of the SIX questions.

More information

Bank Networks: Contagion, Systemic Risk and Prudential Policy

Bank Networks: Contagion, Systemic Risk and Prudential Policy Bank Networks: Contagion, Systemic Risk and Prudential Policy Iñaki Aldasoro 1 Domenico Delli Gatti 2 Ester Faia 3 1 Goethe University Frankfurt & SAFE 2 Università Cattolica Milano 3 Goethe University

More information

Decidability and Recursive Languages

Decidability and Recursive Languages Decidability and Recursive Languages Let L (Σ { }) be a language, i.e., a set of strings of symbols with a finite length. For example, {0, 01, 10, 210, 1010,...}. Let M be a TM such that for any string

More information

Advanced Numerical Methods

Advanced Numerical Methods Advanced Numerical Methods Solution to Homework One Course instructor: Prof. Y.K. Kwok. When the asset pays continuous dividend yield at the rate q the expected rate of return of the asset is r q under

More information

Molecular Phylogenetics

Molecular Phylogenetics Mole_Oce Lecture # 16: Molecular Phylogenetics Maximum Likelihood & Bahesian Statistics Optimality criterion: a rule used to decide which of two trees is best. Four optimality criteria are currently widely

More information

ECE 586GT: Problem Set 1: Problems and Solutions Analysis of static games

ECE 586GT: Problem Set 1: Problems and Solutions Analysis of static games University of Illinois Fall 2018 ECE 586GT: Problem Set 1: Problems and Solutions Analysis of static games Due: Tuesday, Sept. 11, at beginning of class Reading: Course notes, Sections 1.1-1.4 1. [A random

More information

Hedging and Pricing in the Binomial Model

Hedging and Pricing in the Binomial Model Hedging and Pricing in the Binomial Model Peter Carr Bloomberg LP and Courant Institute, NYU Continuous Time Finance Lecture 2 Wednesday, January 26th, 2005 One Period Model Initial Setup: 0 risk-free

More information

MATH 121 GAME THEORY REVIEW

MATH 121 GAME THEORY REVIEW MATH 121 GAME THEORY REVIEW ERIN PEARSE Contents 1. Definitions 2 1.1. Non-cooperative Games 2 1.2. Cooperative 2-person Games 4 1.3. Cooperative n-person Games (in coalitional form) 6 2. Theorems and

More information

Practice of Finance: Advanced Corporate Risk Management

Practice of Finance: Advanced Corporate Risk Management MIT OpenCourseWare http://ocw.mit.edu 15.997 Practice of Finance: Advanced Corporate Risk Management Spring 2009 For information about citing these materials or our Terms of Use, visit: http://ocw.mit.edu/terms.

More information

4 Reinforcement Learning Basic Algorithms

4 Reinforcement Learning Basic Algorithms Learning in Complex Systems Spring 2011 Lecture Notes Nahum Shimkin 4 Reinforcement Learning Basic Algorithms 4.1 Introduction RL methods essentially deal with the solution of (optimal) control problems

More information

Chapter 13 Decision Analysis

Chapter 13 Decision Analysis Problem Formulation Chapter 13 Decision Analysis Decision Making without Probabilities Decision Making with Probabilities Risk Analysis and Sensitivity Analysis Decision Analysis with Sample Information

More information

Bits and Bit Patterns. Chapter 1: Data Storage (continued) Chapter 1: Data Storage

Bits and Bit Patterns. Chapter 1: Data Storage (continued) Chapter 1: Data Storage Chapter 1: Data Storage Computer Science: An Overview by J. Glenn Brookshear Chapter 1: Data Storage 1.1 Bits and Their Storage 1.2 Main Memory 1.3 Mass Storage 1.4 Representing Information as Bit Patterns

More information

Unobserved Heterogeneity Revisited

Unobserved Heterogeneity Revisited Unobserved Heterogeneity Revisited Robert A. Miller Dynamic Discrete Choice March 2018 Miller (Dynamic Discrete Choice) cemmap 7 March 2018 1 / 24 Distributional Assumptions about the Unobserved Variables

More information

Chapter 6: Correcting Market Distortions: Shadow Prices Wages & Discount Rates

Chapter 6: Correcting Market Distortions: Shadow Prices Wages & Discount Rates Chapter 6: Correcting Market Distortions: Shadow Prices Wages & Discount Rates 1 - Observed market prices sometimes reflect true cost to society. In some circumstances they don t because there are distortions

More information

Multi-period Portfolio Choice and Bayesian Dynamic Models

Multi-period Portfolio Choice and Bayesian Dynamic Models Multi-period Portfolio Choice and Bayesian Dynamic Models Petter Kolm and Gordon Ritter Courant Institute, NYU Paper appeared in Risk Magazine, Feb. 25 (2015) issue Working paper version: papers.ssrn.com/sol3/papers.cfm?abstract_id=2472768

More information

Problem Set 2: Answers

Problem Set 2: Answers Economics 623 J.R.Walker Page 1 Problem Set 2: Answers The problem set came from Michael A. Trick, Senior Associate Dean, Education and Professor Tepper School of Business, Carnegie Mellon University.

More information